CAR Options History — September 2017

In September 2017, CAR traded between $34.90 and $38.44. ATM implied volatility averaged 51.0%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 2.7% (HV 20d: 48.2%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.94.

Notable Days

  • 2017-09-15: Highest Volume — 12,966 contracts
  • 2017-09-05: Largest IV spike — 14.3% change
  • 2017-09-05: Highest IV Rank — 46.1%
  • 2017-09-05: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.09$34.90$38.44$36.61$38.03
Max Pain$36.90$35.00$37.00$35.00$37.00
ATM IV51.0%41.9%57.4%50.2%41.9%
Expected Move14.6%12.0%16.4%14.4%12.0%
HV 20d48.2%41.7%63.4%61.2%41.7%
HV 60d57.1%50.7%62.9%62.0%50.7%
IV Rank30.5%10.5%46.1%31.5%10.5%
IV Percentile50.9%14.7%73.8%50.8%14.7%
Term Structure9.6%3.3%15.1%3.3%15.1%
VWIV52.1%42.1%57.7%51.6%42.1%
Skew 25d6.0%4.0%8.7%4.8%4.1%
Skew 10d13.1%7.0%18.8%11.8%9.5%
Call IV 25d48.4%40.1%53.5%49.6%40.1%
Put IV 25d54.5%44.2%62.1%54.4%44.2%
Bid-Ask Spread %12.999.3419.0318.1216.02
Gamma HHI0.100.090.130.100.10
Net GEX-1.4M-2.5M-649.4K-1.2M-1.3M
Net DEX-2.7M-25.7M22.0M132.1K-12.1M
Net VEX-705.1K-778.8K-644.9K-751.2K-646.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.784.311.191.54
Total Volume8,006.155,53612,96611,4279,240
Total OI173,639.05160,762188,833171,088171,436

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$36.61$35.0050.2%14.4%61.2%31.5%51.6%4.8%3.3%-1.2M132.1K-751.2K1.1918.125,2136,21428,965142,123
2017-09-05$34.90$37.0057.4%16.4%63.4%46.1%57.2%8.7%5.7%-1.7M22.0M-778.8K0.9010.143,7113,35731,043145,161
2017-09-06$35.98$37.0055.4%16.0%51.8%41.6%57.7%7.8%6.6%-1.4M4.1M-718.4K1.129.712,6092,92731,164145,910
2017-09-07$36.68$37.0053.7%15.6%47.0%38.0%57.3%7.8%7.9%-1.1M-5.2M-715.5K1.579.342,3973,75331,520146,288
2017-09-08$37.82$37.0050.0%15.2%47.8%30.4%54.5%7.7%7.8%-823.8K-15.7M-722.5K0.7810.004,5573,56631,745146,249
2017-09-11$37.35$37.0055.5%15.1%42.9%39.6%54.5%7.5%8.6%-649.4K-20.7M-673.2K1.7610.194,3757,71933,357146,207
2017-09-12$37.08$37.0055.8%15.0%43.0%40.2%54.5%6.9%8.7%-1.4M-7.8M-717.5K1.8012.742,6504,75733,865150,700
2017-09-13$37.82$37.0049.3%14.1%43.4%26.3%51.5%7.0%9.8%-951.4K-25.7M-644.9K1.4710.482,8704,20533,851151,294
2017-09-14$35.24$37.0053.4%15.3%49.5%35.0%53.3%6.3%8.0%-2.5M16.6M-692.9K2.6519.033,3608,89534,144151,359
2017-09-15$35.16$37.0051.6%14.8%48.6%31.2%52.0%7.0%8.6%-1.7M21.3M-739.9K2.4714.643,7409,22634,531154,302
2017-09-18$36.22$37.0051.2%14.7%48.8%30.4%52.9%5.3%9.6%-1.6M12.0M-725.9K1.3412.102,7543,67826,921133,841
2017-09-19$36.66$37.0050.1%14.4%48.6%28.0%51.2%5.9%9.8%-1.5M4.3M-711.9K1.4711.412,4293,58228,003134,023
2017-09-20$37.88$37.0049.0%14.0%48.9%25.6%49.4%4.8%10.1%-1.2M-9.1M-689.5K2.5914.412,1465,56628,579134,090
2017-09-21$38.08$37.0048.5%13.9%48.9%24.6%51.1%5.2%11.5%-1.2M-9.4M-701.2K4.3114.701,8868,12229,092135,987
2017-09-22$38.44$37.0049.2%14.1%48.9%26.1%51.0%5.2%11.9%-1.3M-13.1M-667.9K2.4712.531,6904,16729,246139,405
2017-09-25$37.52$37.0051.5%14.8%45.8%31.0%52.6%5.4%11.1%-1.5M1.4M-715.2K2.4911.431,6023,98229,403139,543
2017-09-26$37.91$37.0050.5%14.5%45.5%28.9%51.6%4.7%12.1%-1.5M-2.7M-709.8K2.0614.741,8143,72829,362139,701
2017-09-27$38.19$37.0048.1%13.8%45.2%23.7%48.4%4.0%13.0%-1.4M-7.2M-693.2K2.2014.792,4675,41929,480139,686
2017-09-28$38.18$37.0046.8%13.4%43.2%20.9%47.9%4.5%12.7%-1.4M-7.1M-687.1K2.6913.211,5604,19030,318140,887
2017-09-29$38.03$37.0041.9%12.0%41.7%10.5%42.1%4.1%15.1%-1.3M-12.1M-646.4K1.5416.023,6395,60130,392141,044